货币的未来：外汇市场与外汇衍生品

Lecture 1 :

Objective: Modeling and Forecasting Exchange Rates

目标：构建汇率预测模型

Description: The structure of the specific instruments that aretraded – spot, forwards, futures, options and cross-currency swaps.Will also discuss quoting conventions in these markets that makeforeign exchange fundamentally different from all other markets.Then we will turn to the process I utilized to achieve a twenty plusyear career of success at advising clients on foreign exchangeoutlook. Start with an overview of the traditional drivers ofexchange rates – especially real valuation and portfolio flows and,also provide some less traditional indicators I have found useful –relative yield curve flatness, risk sentiment, relative assetvaluation. implied volatility skewing.

描述：外汇交易的特定工具（即期、远期、期货与交叉货币掉期）；还将讨论市场中的报价惯例，正是这些惯例造成了外汇市场的不同特点。此外，将基于教授本人二十余年的成功从业经历，介绍为客户提供外汇投资咨询的方法：首先概述汇率的传统驱动因素——尤其是实际估值和投资组合流动，还将介绍一些我认为有用、但不太传统的指标——相对收益率曲线平坦度、风险情绪、相对资产估值、隐含波动率偏斜等。

Lecture 2:

Objective: Exchange Rate Regimes and Monetary Crises

目标：汇率制度与货币危机

Description: An overview of the common forms of exchange rateregimes, including, pegged rates, exchange rate bands, currencyboards, dual rates adopting another country’s currency and China’sunique currency arrangement. In each case we will look at what theregime implies for the central bank’s ability to pursue monetarypolicy and serve as lender of last resort and how regimes can eitherhelp or hinder control of inflation. We will also look what thesefactors portend for the long-term viability of the Euro and howexchange rate regimes can determine the nature of offshore markets– especially deliverable vs non-deliverable forwards – and whyroughly 80% of the world’s currencies do not actively trade at all.

描述：概述汇率制度的常见形式，包括钉住汇率、汇率区间、货币发行局、采用他国货币的双重汇率和中国独特的货币安排。在每种情况下，我们都将研究该制度对中央银行实施货币政策和充当最后贷款人的能力意味着什么，以及该制度对控制通货膨胀的作用和影响。我们还将研究这些因素对欧元的长期生存能力有何影响，以及汇率制度的离岸市场性质是如何确定的——尤其是可交割远期与不可交割远期的不同——以及为什么约80%的世界货币交易并不积极。

Lecture 3:

Objective: Exchange rates as an Asset Class and AccountingConventions

目标：汇率作为资产类别和会计惯例

Description: Assess whether foreign exchange meets the definition ofan asset class and ways that currency exposure can be effectivelybrought into a broader portfolio. In this context, we will examinethe fact that historically uncovered interest rate parity does notgenerally hold creating a risk-adjusted “excess” return. But thisreturn has diminished substantially in recent years and we willinvestigate whether this is due to cyclical or secular factors –i.e., is the carry trade dead. We will then look at how thedefinition of accounting exposure in foreign exchange differs fromother markets. The complexity of the decision to hedge or not tohedge will also be discussed.

描述：评估外汇是否符合某一资产类别的定义，以及将货币风险有效纳入更广泛投资组合的方式。在这种情况下，我们将着眼于历史上未覆盖的利率平价通常不会产生风险调整后的“超额”回报这一事实。但这种回报近年来大幅下降，我们将调查这是由于周期性因素还是长期因素——即套利交易是否已死。然后，我们将研究外汇会计风险的定义与其他市场有何不同，还将讨论对冲或不对冲决策的复杂性。

Lecture 4:

Objective: Foreign Exchange Derivatives and Trends in VolatilityTrading

目标：外汇衍生品和波动率交易趋势

Description: We will start with a comparison of futures and forwardmarkets in foreign exchange and then turn to an overview of foreignexchange options and why this market is more liquid and complex thanoption trading on other instruments. We will specifically look atthe unique ability to directly trade volatility and correlation.There has been a secular downtrend in volatility in foreign exchangemarkets for much of the past decade and we will look at the sourcesof this trend and why the trend may be in the process of turning.

描述: 我们将从外汇期货和远期市场的比较开始，转向外汇期权的介绍。我们将了解到为什么这个市场比其他的金融衍生品市场更具流动性和复杂性。我们还将专门研究直接交易波动性和相关性的独特性质。在过去十年的大部分时间里，外汇市场的波动性一直呈长期下降趋势，我们将讨论这种趋势的来源，以及为什么这种趋势可能正在发生转变。

Lecture 5:

Objective: Case Studies and the Future of Currencies

目标：案例研究和货币的未来

Description: Using the tools we have developed over the course wewill dig more deeply into some select currency events – e.g., TheAsian currency crisis, the Mexican tequila crisis, the ERM crisis,etc. – focusing on ways that these events could have beenanticipated and benchmarks signaling an end of the crisis. Theprospects for future crises – both when and where – will beaddressed. We will also investigate the concept of an “optimal”currency area and what this implies for the viability of the Euro.Time permitting, we will do an overview of the crypto-currency spaceand briefly discuss whether they qualify as exchange rate marketsand how to consider valuation.

描述：基于我们在课题中掌握的模型，我们将更深入地挖掘一些选定的货币事件，如亚洲货币危机、墨西哥龙舌兰酒危机、“黑色星期三”等，重点关注这些事件的征兆以及危机结束的标志。同样我们还将讨论如何预防未来的货币危机，预测其将在何时何地发生。我们还将研究“最佳”货币区的概念以及这对欧元的生存能力意味着什么。我们还将对加密货币空间进行概述，并简要讨论它们是否符合汇率市场以及如何考虑其估值。

Lecture 6:

Final Presentation; Paper Instruction; Q&A Sessions

结课展示，论文指导及问答环节

Description: We will do a broad review of the major themes andtake-aways of this course. This will be followed by studentpresentations on their research work. Students are encouraged toutilize PowerPoint graphics to support their discussion.

描述：我们将对本课程的主要主题和要点进行广泛的回顾。随后将由学生介绍他们的科研学习成果，学生可以用PowerPoint来进行展示。